One roughs to avoid changing of dimensions and flatness in the work piece. All material, including hot rolled products, have internal stresses. They are relieved (at least partially) when material is removed, and that causes the material to move. The more uniformly material is removed, the less movement, but that isn't generally possible (lathe work tends to be the exception).
By roughing, where one leaves material for final removal, the movement caused by stress relief relaxes the remaining material, so when final passes are taken little to no further movement results, so you can better achieve the desired result.
One need not make tool changes, but it's a smart thing to do. Roughing often dulls the tool in use. By switching to a sharp one, the cut generates less heat and demands less cutting pressure. While roughing type cutters are to advantage, they are not mandatory. As a bonus, once roughed, finish cuts can usually be climb milled instead of conventional milled (due to the small amount of material being removed), so surface finishes are automatically improved. Best of all, the part is far more stable and will generally result in a more precise piece, free of error from movement.
Roughing before finishing is considered good shop practice, for obvious reasons. Surface finish isn't generally considered, as the prime objective is to shape the part. Roughing cuts are generally quite heavy, with high rates of feed, removing material as quickly as possible. However, do not sacrifice relationships of the features. Look at a roughed part as starting with a casting. Inside that roughed part resides the finished part. You must maintain concentricity, perpendicularity and reasonable size. As a guide, consider leaving anywhere from .03" to .05" on finished dimensions. Half that amount would be removed per side upon taking finished cuts. The larger the work piece, the more material one would leave. The smaller amount that allows for full finish cuts dictates that the piece in final machining will move less, if at all.
Some material is very active. I had one job that required a rough, semi-finish and finish operation to avoid movement. That is exceedingly rare--the material being Delrin.
H